Feb 4 - Fitch Ratings has affirmed BPM Securitisation 2 S.r.l., as follows:
Series Class A2 (ISIN IT0004083025): affirmed at 'AAAsf'; Outlook Negative
Series Class B (ISIN IT0004083033): affirmed at 'AAsf'; Outlook Stable
Series Class C (ISIN IT0004083041): affirmed at 'BBBsf'; Outlook Stable
The affirmation reflects the sufficient level of credit enhancement (CE)
available to the rated notes and the performance of the underlying assets, which
remains in line with Fitch's expectations. The transaction is backed by loans
originated by Banca Popolare di Milano S.c.a.r.l. ('BBB'/Negative/'F3').
The assets in the underlying portfolio are highly seasoned (108 months as of
January 2013). The pool has now deleveraged to 28% of its initial pool balance
with loans in arrears by more than three months at 2.1% of the current
portfolio. The servicer has reported cumulative gross defaults (defined as loans
in arrears by more than six months) at 1.8% of the initial pool balance. To
date, defaulted loans have been fully provisioned using gross excess spread
generated by the structure.
Since the July 2010 IPD, the built up of CE available to the rated notes was
limited, due to the combined pro-rata amortisation of the notes principal and
the reserve fund amortisation (2.34% of the current note balance). At the
current annualised prepayment rate of 16%, Fitch expects the reserve to reach
its floor of EUR10m in the next 18 months, which will then lead to a further
build-up of CE available to the notes.
Fitch understands that the issuer appointed Zenith Service SpA as a back-up
servicer (BUS) facilitator in December 2012. At the time, the servicer also
revised the triggers outlined in the transaction documentation which now
requires an appointment of a BUS once the servicer reaches a 'BBB-' rating, as
opposed to the initial 'BBB' level. The agency believes that the appointment of
a BUS facilitator has reduced the risk of payment interruption, thus resulting
in the affirmation of the ratings.
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
Sources of information - in addition to those mentioned in the applicable
criteria, the sources of information used to assess these ratings were investor
Applicable criteria, 'Global Structured Finance Rating Criteria', dated 06
August 2012, 'EMEA Residential Mortgage Loss Criteria' dated 07 June 2012; 'EMEA
Residential Mortgage Loss Criteria Addendum - Italy' dated 30 July 2012;
'Counterparty Criteria for Structured Finance Transactions' and 'Counterparty
Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May
2012 are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
EMEA Residential Mortgage Loss Criteria
EMEA Criteria Addendum - Italy - Mortgage and Cashflow Assumptions
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum